Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0852 |
| Annualized Std Dev | 0.4059 |
| Annualized Sharpe (Rf=0%) | -0.2100 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3743.0000 |
| NAs | 1.0000 |
| Minimum | -0.3200 |
| Quartile 1 | -0.0124 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0126 |
| Maximum | 0.1901 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0007 |
| Stdev | 0.0256 |
| Skewness | -0.5293 |
| Kurtosis | 12.5647 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0185 |
| Gain Deviation | 0.0178 |
| Loss Deviation | 0.0195 |
| Downside Deviation (MAR=210%) | 0.0230 |
| Downside Deviation (Rf=0%) | 0.0185 |
| Downside Deviation (0%) | 0.0185 |
| Maximum Drawdown | 0.9351 |
| Historical VaR (95%) | -0.0385 |
| Historical ES (95%) | -0.0597 |
| Modified VaR (95%) | -0.0393 |
| Modified ES (95%) | -0.0747 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-24 | 2020-03-18 | NA | -0.9351 | 3208 | 2954 | NA |
| 2006-05-11 | 2006-10-03 | 2007-05-16 | -0.2695 | 255 | 101 | 154 |
| 2007-10-16 | 2008-02-06 | 2008-04-16 | -0.1942 | 126 | 78 | 48 |
| 2007-07-24 | 2007-08-16 | 2007-09-18 | -0.1360 | 40 | 18 | 22 |
| 2008-04-22 | 2008-05-01 | 2008-05-08 | -0.0712 | 13 | 8 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | 0.4 | 1.1 | -0.4 | 1.6 | 0.8 | -1.2 | 0.5 | -1 | 1.8 |
| 2007 | 0 | 0.7 | -1.5 | 0.3 | 0.2 | 0.1 | -1.1 | 1.8 | 1.5 | -1.3 | 0.3 | -1.2 | -0.2 |
| 2008 | 3.1 | -3.2 | 1.5 | -2.3 | 0.8 | 0.4 | 0.6 | -1.5 | -3.9 | 0.4 | -15.1 | 1.7 | -17.4 |
| 2009 | -2.7 | -0.7 | 1.5 | 3.2 | 5 | 0.5 | 0.9 | -1.8 | -3.6 | -4.7 | 1.3 | -0.7 | -2.2 |
| 2010 | 3.3 | 1.2 | 2.3 | -2.4 | -8.6 | 0.2 | -0.1 | 4.4 | 0.9 | 0.4 | 3.2 | 0.2 | 4.4 |
| 2011 | 1.1 | -2.1 | 0.2 | 1 | -2.8 | 0.8 | -0.7 | -1.3 | -3.9 | -4.2 | -0.2 | 0.5 | -11.3 |
| 2012 | 1.3 | 1.5 | 1 | 1.3 | -2.7 | 3.7 | 0.7 | 1.5 | 0.1 | 1.2 | 0.6 | 2.6 | 13.3 |
| 2013 | 1.2 | -1.1 | -1.7 | -1.2 | -2.1 | 1.3 | 2.3 | -0.8 | 1.3 | -0.7 | 0.3 | 0.8 | -0.5 |
| 2014 | -0.6 | 1.4 | 0.3 | -1 | 0.2 | -0.2 | -0.5 | 0.8 | -2.8 | 1.6 | -1.5 | -1 | -3.5 |
| 2015 | 2 | 0.9 | 0.8 | -0.4 | -0.3 | -3.2 | -1.7 | -3.5 | -2 | 1.4 | 1 | 0.6 | -4.4 |
| 2016 | -2.4 | 2 | -2.9 | 1.8 | -0.7 | 2.6 | -3.7 | -0.5 | 1.6 | 0.2 | 1.2 | 0 | -0.9 |
| 2017 | 0 | 2.8 | 0.9 | -0.9 | 1.2 | 0.2 | -1.3 | 1.7 | 0.2 | 0.8 | 3.3 | 0.4 | 9.4 |
| 2018 | 2 | 0.2 | 2.5 | -0.9 | -0.3 | 0 | -1.3 | -0.8 | 1.1 | 0.5 | -2.1 | -0.1 | 0.5 |
| 2019 | 2.1 | 1.9 | 2.8 | -3 | -2.4 | 0.3 | -5.1 | 0 | -3.5 | 4.5 | -1.7 | -0.6 | -5 |
| 2020 | -1.9 | 1.2 | -6.7 | -7 | 0.1 | -2.6 | -1.9 | 0.5 | -3.6 | 3.6 | 3.8 | -0.5 | -14.6 |
| 2021 | 0.9 | 4.9 | -0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-05-05 52.6 SPY 133. 0.0088 0.008 0.0115 0.0495 0.128 0.411 0.0609 GLD 68.0 0.0076 0.0446
2 2006-05-08 52.5 SPY 132. -0.00120 0.015 0.0114 0.0455 0.130 0.417 0.0418 GLD 67.6 -0.0063 0.0368
3 2006-05-09 53.1 SPY 133. 0.002 0.0094 0.0238 0.0569 0.126 0.434 0.0457 GLD 69.7 0.0314 0.047
4 2006-05-10 53.5 SPY 133. -0.0005 0.0127 0.0217 0.0468 0.137 0.414 0.0586 GLD 70.4 0.01 0.059
5 2006-05-11 52.5 SPY 131. -0.0121 -0.0031 0.018 0.0359 0.117 0.380 0.0283 GLD 71.0 0.0092 0.0526
6 2006-05-12 50.3 SPY 129. -0.0131 -0.0248 0.0028 0.0205 0.115 0.365 0.0238 GLD 71.1 0.0013 0.046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
